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submitftp

Submit FTP request for Thomson Reuters Tick History data

Syntax

x = submitftp(r, sec)
x = submitftp(r, sec, tradefields, daterange, reqtype,
messtype, exchange, domain)
x = submitftp(r,sec,tradefields, daterange, reqtype,
messtype, exchange, domain, marketdepth)

Description

x = submitftp(r, sec) returns information about the security, sec, such as the code, currency, exchange, and name for the given trth connection object, r.

x = submitftp(r, sec, tradefields, daterange, reqtype,
messtype, exchange, domain)
submits an FTP request for the request security, sec, based on the type request and message types, reqtype and messtype, respectively. Data for the fields specified by tradefields is returned for the data range bounded by daterange. Specifying the exchange or the given security improves the speed of the data request. domain specifies the security type.

x = submitftp(r,sec,tradefields, daterange, reqtype,
messtype, exchange, domain, marketdepth)
additionally specifies the depth of level 2 data, marketdepth, to return for a 'MarketDepth' request type. marketdepth must be a numeric value between 1 and 10, returning up to 10 bid/ask values for a given security.

To monitor the status of the FTP request, enter the command

[s,qp] = status(r,x)

The status function returns a status message and queue position. When S = 'Complete', download the resulting compressed .csv file from the TRTH servers. Once the .csv file has been saved to disk, use rdthloader('filename') to load the data into the MATLAB® workspace. To obtain more information request and message types and their associated field lists, use the command get(r).

Examples

Specify parameters for FTP request:

submitftp(r,{'IBM.N','GOOG.O'}, ...
   {'Open','Last','Low','High'}, ...
   {floor(now)-100,floor(now)}, ...
   'EndOfDay','End Of Day','NSQ','EQU'); 

For a 'NasdaqLevel2' request type, enter:

AaplTickData = submitftp(R,'AAPL.O',{'Nominal Value'},...
      {now-.05,now},'NasdaqLevel2','Nominal Value','NSQ','EQU'); 

To use a 'MarketDepth' level of 3, enter:

AaplTickData = submitftp(R,'AAPL.O',{'Bid Price','Bid Size'},...
         {now-.05,now},'MarketDepth','Market Depth','NSQ','EQU',3);

See Also

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